Preheat your oven to 375°F. Remove mushroom stems and gently scrape the gills with a small spoon to create deeper cups that hold more filling. Wipe each cap clean with a damp cloth and arrange them gill-side-up on a parchment-lined baking sheet, spacing them about one inch apart.
Melt butter in a large skillet over medium heat, then add diced onion and cook for 5 minutes, stirring occasionally until softened. Add minced garlic and sauté for exactly 1 minute until fragrant, then remove from heat to cool slightly before mixing with other filling ingredients.
In a large mixing bowl, combine softened cream cheese, shredded cheddar, grated parmesan, chopped parsley, dried thyme, salt, black pepper, and cayenne pepper. Stir in the cooled onion-garlic mixture and finely chopped smoked turkey, mixing until the filling reaches uniform consistency. Fold in the egg yolk last, which acts as a binder and creates a silkier texture when baked.
Spoon the creamy cheese stuffed mushrooms filling into each prepared mushroom cap, mounding slightly above the rim—about 1.5 tablespoons per mushroom. Use the back of your spoon to distribute filling evenly and press gently so it adheres to the mushroom surface during baking.
Mix panko breadcrumbs with melted butter in a small bowl, tossing until every crumb coats evenly with butter. Sprinkle the panko mixture over the top of each filled mushroom, pressing gently so it adheres to the cream cheese layer.
Bake for 18-20 minutes until mushroom caps release their juices and the panko topping turns golden brown. The filling should be visibly set at the edges while maintaining a slightly creamy center, and the mushroom cups should show caramelized edges.